Mandy Matula, 24, was last seen with Roe in Miller Park in Eden Prairie at about 1:30 a.m. Thursday.

During the course of the missing person investigation, police identified Roe as a person of interest and say he agreed to speak with an investigator.

When he arrived at the police station, police say he shot himself in the head while in his vehicle.

Meanwhile, Eden Prairie Police say a group of people searching for Matula near County Road 4 and Scenic Heights Road Saturday found a piece of unfired ammunition. Police say they've closed off the area to investigate further.

Matula and Roe were believed to be traveling in a 2013 black Ford Escape with Minnesota license plate number 802-KNA when they were last seen.

Police are asking anyone with information about Matula’s whereabouts or who may have seen the two individuals or the vehicle to call Eden Prairie Police at 953-949-6200.